getfactor: get factor functions
In raphael210/QFactorGet: Factor-getting Functions
Description
Usage
Arguments
Value
Author(s)
Description
get factor functions
Usage
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gf.mkt_cap(TS)
gf.float_cap(TS)
gf.ln_mkt_cap(TS)
gf.ln_float_cap(TS)
gf.NP_YOY(TS, is1q = TRUE, filt = 1e+07, rm_neg = FALSE, src = c("all",
"fin"), clear_result = TRUE)
gf.pct_chg_per(TS, N = 60)
gf.totalshares(TS)
gf.totalmarketvalue(TS)
gf.floatMarketValue(TS)
gf.PE_lyr(TS, fillna = TRUE)
gf.PE_ttm(TS, fillna = TRUE)
gf.ln_PE_ttm(TS)
gf.PS_lyr(TS, fillna = TRUE)
gf.PS_ttm(TS, fillna = TRUE)
gf.PCF_lyr(TS, fillna = TRUE)
gf.PCF_ttm(TS, fillna = TRUE)
gf.PB_lyr(TS, fillna = TRUE)
gf.PB_mrq(TS, fillna = TRUE, rmgoodwill = FALSE)
gf.ln_PB_mrq(TS)
gf.BP_mrq(TS, fillna = FALSE, rmgoodwill = FALSE)
gf.EP_ttm(TS, fillna = FALSE)
gf.CFP_ttm(TS, fillna = FALSE)
gf.EP_Nyear(TS, N = 3, ttm = TRUE)
gf.G_MLL_Q(TS)
gf.G_OCF_Q(TS, filt = 10000)
gf.G_OCF(TS, filt = 10000)
gf.G_SCF_Q(TS, filt = 10000)
gf.G_SCF(TS, filt = 10000)
gf.G_ROE_Q(TS, filt = 10000)
gf.G_EPS_Q(TS, filt = 10000)
gf.G_scissor_Q(TS, filt = 10000)
gf.G_NP_Q(TS, filt = 10000)
gf.G_NP_ttm(TS, filt = 10000)
gf.G_NPcut_Q(TS, filt = 10000)
gf.GG_NP_Q(TS, filt = 10000)
gf.G_OR_Q(TS, filt = 10000)
gf.GG_OR_Q(TS, filt = 10000)
gf.stable_growth(TS, N = 12, freq = "q", stat = "mean/sd", rm_N = 6)
gf.F_NP_chg(TS, span = "w13", con_type = "1")
gf.F_rank_chg(TS, lag = 60, con_type = "1")
gf.F_target_rtn(TS, con_type = "1")
gf.F_finratio(TS, ratio = c("pe", "pb", "ps", "roe", "peg", "np_yoy",
"or_yoy", "grow2Y"), con_type = "1,2", fillna = FALSE)
gf.F_PB(TS, con_type = "1,2", fillna = TRUE)
gf.F_PE(TS, con_type = "1,2", fillna = TRUE)
gf.F_PS(TS, con_type = "1,2")
gf.ln_F_PE(TS, con_type = "1,2")
gf.F_ROE(TS, con_type = "1,2")
gf.F_PEG(TS, con_type = "1,2")
gf.F_NP_G2year(TS, con_type = "1,2")
gf.F_NP_YOY(TS, con_type = "1,2")
gf.F_OR_YOY(TS, con_type = "1,2")
gf.liquidity(TS, nwin = c(22, 66, 250), wgt = c(0.35, 0.35, 0.3),
datasrc = defaultDataSRC())
gf.ILLIQ(TS, nwin = 22, datasrc = defaultDataSRC())
gf.beta(TS, nwin = 240, indexID = "EI801003", datasrc = defaultDataSRC())
gf.IVR(TS, nwin = 22, datasrc = defaultDataSRC())
gf.volatility(TS, nwin = 60)
gf.disposition(TS, nwin = 66, datasrc = defaultDataSRC())
gf.dividendyield(TS, datasrc = c("ts", "jy", "wind"))
gf.amt(TS, N = 20, log = FALSE)
gf.vol(TS, N = 20)
gf.turnover(TS, N = 20)
gf.SUE(TS, N = 8,
funchar = "\"factorscore\",LastQuarterData(RDate,42017)", rm_N = N/2,
include_new = TRUE)
gf.SUR(TS, N = 8,
funchar = "\"factorscore\",LastQuarterData(RDate,46080)", rm_N = N/2,
include_new = TRUE)
gf.High3Managers(TS)
gf.pio_f_score(TS)
Arguments
TS
a TS object
is1q
logic. if TRUE(the default), return the single quarter data, else a cummuliated data.
Value
a TSF object
Author(s)
han.qian
han.qian
raphael210/QFactorGet documentation built on May 26, 2019, 11:05 p.m.
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Description Usage Arguments Value Author(s)
Description
get factor functions
Usage
1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73 74 75 76 77 78 79 80 81 82 83 84 85 86 87 88 89 90 91 92 93 94 95 96 97 98 99 100 101 102 103 104 105 106 107 108 109 110 111 112 113 114 115 116 117 118 119 120 121 122 123 124 125 126 127 128 129 130 131 132 133 134 135 136 | gf.mkt_cap(TS)
gf.float_cap(TS)
gf.ln_mkt_cap(TS)
gf.ln_float_cap(TS)
gf.NP_YOY(TS, is1q = TRUE, filt = 1e+07, rm_neg = FALSE, src = c("all",
"fin"), clear_result = TRUE)
gf.pct_chg_per(TS, N = 60)
gf.totalshares(TS)
gf.totalmarketvalue(TS)
gf.floatMarketValue(TS)
gf.PE_lyr(TS, fillna = TRUE)
gf.PE_ttm(TS, fillna = TRUE)
gf.ln_PE_ttm(TS)
gf.PS_lyr(TS, fillna = TRUE)
gf.PS_ttm(TS, fillna = TRUE)
gf.PCF_lyr(TS, fillna = TRUE)
gf.PCF_ttm(TS, fillna = TRUE)
gf.PB_lyr(TS, fillna = TRUE)
gf.PB_mrq(TS, fillna = TRUE, rmgoodwill = FALSE)
gf.ln_PB_mrq(TS)
gf.BP_mrq(TS, fillna = FALSE, rmgoodwill = FALSE)
gf.EP_ttm(TS, fillna = FALSE)
gf.CFP_ttm(TS, fillna = FALSE)
gf.EP_Nyear(TS, N = 3, ttm = TRUE)
gf.G_MLL_Q(TS)
gf.G_OCF_Q(TS, filt = 10000)
gf.G_OCF(TS, filt = 10000)
gf.G_SCF_Q(TS, filt = 10000)
gf.G_SCF(TS, filt = 10000)
gf.G_ROE_Q(TS, filt = 10000)
gf.G_EPS_Q(TS, filt = 10000)
gf.G_scissor_Q(TS, filt = 10000)
gf.G_NP_Q(TS, filt = 10000)
gf.G_NP_ttm(TS, filt = 10000)
gf.G_NPcut_Q(TS, filt = 10000)
gf.GG_NP_Q(TS, filt = 10000)
gf.G_OR_Q(TS, filt = 10000)
gf.GG_OR_Q(TS, filt = 10000)
gf.stable_growth(TS, N = 12, freq = "q", stat = "mean/sd", rm_N = 6)
gf.F_NP_chg(TS, span = "w13", con_type = "1")
gf.F_rank_chg(TS, lag = 60, con_type = "1")
gf.F_target_rtn(TS, con_type = "1")
gf.F_finratio(TS, ratio = c("pe", "pb", "ps", "roe", "peg", "np_yoy",
"or_yoy", "grow2Y"), con_type = "1,2", fillna = FALSE)
gf.F_PB(TS, con_type = "1,2", fillna = TRUE)
gf.F_PE(TS, con_type = "1,2", fillna = TRUE)
gf.F_PS(TS, con_type = "1,2")
gf.ln_F_PE(TS, con_type = "1,2")
gf.F_ROE(TS, con_type = "1,2")
gf.F_PEG(TS, con_type = "1,2")
gf.F_NP_G2year(TS, con_type = "1,2")
gf.F_NP_YOY(TS, con_type = "1,2")
gf.F_OR_YOY(TS, con_type = "1,2")
gf.liquidity(TS, nwin = c(22, 66, 250), wgt = c(0.35, 0.35, 0.3),
datasrc = defaultDataSRC())
gf.ILLIQ(TS, nwin = 22, datasrc = defaultDataSRC())
gf.beta(TS, nwin = 240, indexID = "EI801003", datasrc = defaultDataSRC())
gf.IVR(TS, nwin = 22, datasrc = defaultDataSRC())
gf.volatility(TS, nwin = 60)
gf.disposition(TS, nwin = 66, datasrc = defaultDataSRC())
gf.dividendyield(TS, datasrc = c("ts", "jy", "wind"))
gf.amt(TS, N = 20, log = FALSE)
gf.vol(TS, N = 20)
gf.turnover(TS, N = 20)
gf.SUE(TS, N = 8,
funchar = "\"factorscore\",LastQuarterData(RDate,42017)", rm_N = N/2,
include_new = TRUE)
gf.SUR(TS, N = 8,
funchar = "\"factorscore\",LastQuarterData(RDate,46080)", rm_N = N/2,
include_new = TRUE)
gf.High3Managers(TS)
gf.pio_f_score(TS)
|
Arguments
TS |
a TS object |
is1q |
logic. if TRUE(the default), return the single quarter data, else a cummuliated data. |
Value
a TSF object
Author(s)
han.qian
han.qian
R Package Documentation
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